Access the full text.
Sign up today, get DeepDyve free for 14 days.
G. Schwert (1983)
Size and stock returns, and other empirical regularitiesJournal of Financial Economics, 12
Edward Dyl (1977)
CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIORJournal of Finance, 32
Roll Roll (Winter 1983)
“Vas ist Das? The Turn of the Year Effect and the Return Premia of Small Firms.”Journal of Portfolio Management, 9
Mustafa Gultekin, N. Gultekin (1983)
Stock market seasonality: International EvidenceJournal of Financial Economics, 12
Donald Keim (1983)
SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical EvidenceJournal of Financial Economics, 12
Ben Branch (1977)
A Tax Loss Trading RuleThe Journal of Business, 50
R. Banz (1981)
The relationship between return and market value of common stocksJournal of Financial Economics, 9
(1983)
Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns
M. Blume, R. Stambaugh (1983)
BIASES IN COMPUTED RETURNS An Application to the Size EffectJournal of Financial Economics, 12
Marc Reinganum (1981)
Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market valuesJournal of Financial Economics, 9
P. Brown, Donald Keim, A. Kleidon, Terry Marsh (1983)
Stock return seasonalities and the tax-loss selling hypothesis: analysis of the arguments and Australian evidence
Richard Roll (1983)
On computing mean returns and the small firm premiumJournal of Financial Economics, 12
P. Schultz (1985)
Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A NoteJournal of Finance, 40
G. Constantinides, J. Ingersoll (1984)
Optimal bond trading with personal taxesJournal of Financial Economics, 13
W. Bondt, R. Thaler (1985)
Does the Stock Market OverreactJournal of Finance, 40
R. Roll (1983)
Vas Ist Das?, 9
S. Taylor (1980)
U.K. and European Share Price Behaviour: The EvidenceJournal of the Operational Research Society, 31
Marc Reinganum (1983)
The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effectsJournal of Financial Economics, 12
Michael Rozeff, William Kinney (1976)
Capital market seasonality: The case of stock returnsJournal of Financial Economics, 3
R. Officer (1975)
Seasonality in Australian capital markets: Market efficiency and empirical issuesJournal of Financial Economics, 2
ABSTRACT This paper analyzes the tax‐loss selling hypothesis as an explanation of the January seasonal in stock returns and argues that rational tax‐loss selling implies little relation between the January seasonal and the long‐term loss. Empirical results show that the January seasonal is as strongly related to the long‐term loss as it is to the short‐term loss. The evidence is inconsistent with a model that explains the January seasonal by optimal tax trading.
The Journal of Finance – Wiley
Published: Dec 1, 1986
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.